Date of Award
2013
Publisher
North Dakota State University
Document Type
Thesis
Degree Awarded
Master of Science (MS)
Program
Statistics
Department
Statistics
College
Science and Mathematics
Faculty Advisor
Shen, Gang
Description
This paper proposes a hidden Markov model for the signal of U.S. recessions. The model uses the spread of interest rate between 10-year Treasury bond and 3-month Treasury bill, together with other financial indicators which are the real M2 growth, the change in the Standard and Poor's 500 index of stock prices, and difference between the 6-month commercial paper and 6-month Treasury bill rates as predictors. The hidden Markov model considers temporal dependence between the recession signals and provides an estimate of the long-term probability of recessions. The empirical results indicate the hidden Markov model well predict the signal of recessions in the U.S.
Recommended Citation
Huang, Di, "Predicting Recessions in the U.S. with Yield Curve Spread" (2013). Statistics. 44.
https://digitalcommons.ndsu.edu/stats/44
Rights
NDSU Policy 190.6.2
Rights Link
https://www.ndsu.edu/fileadmin/policy/190.pdf
Handle Identifier
https://hdl.handle.net/10365/27126